High frequency factors based on order and trade data.
☆71Dec 16, 2023Updated 2 years ago
Alternatives and similar repositories for high-frequency-factors
Users that are interested in high-frequency-factors are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Stock factor mining with CNN and GRU.☆72Dec 23, 2022Updated 3 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆117May 20, 2024Updated last year
- High frequency prediction of Chinese stock returns. Orderbook data generation. High frequency factors construction.☆18Mar 10, 2023Updated 3 years ago
- 通过遗传算法、强化学习来自动选择高频因子☆26Jan 5, 2023Updated 3 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Mar 10, 2021Updated 5 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- verify OrderBook Tick Data Trading Strategy on futures.☆17Mar 21, 2019Updated 7 years ago
- A market making algorithm based on the Avellaneda Stoikov paper on Deribit derivatives exchange. A gradient boosted model is used for vol…☆23Feb 2, 2025Updated last year
- 本文通过gplearn模型，结合遗传算法中的遗传规划方法生成因子。这里因子生成基于simple-backtest中的简单回测系统，主要针对股指期货操作。☆148Dec 29, 2023Updated 2 years ago
- Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial …☆72Oct 11, 2022Updated 3 years ago
- Alpha mining with DEAP-based genetic programming.☆11Jul 7, 2023Updated 2 years ago
- 改写了gplearn源码，原有的gplearn会把数据转为numpy，丢失了datetime和stockcode的原始信息。很难做截面的因子ic、ir分析，所以改动了相应的源码，使之可以做因子的截面ic分析。另外增加了时序函数和并行化框架ray的支持。☆23Mar 20, 2024Updated 2 years ago
- Benchmark Dataset of Limit Order Book in China Markets☆216Mar 23, 2021Updated 5 years ago
- ☆40Jun 13, 2023Updated 2 years ago
- My first high-frequency trading strategy using machine learning☆18Sep 16, 2022Updated 3 years ago
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- 多因子选股框架☆26Dec 9, 2020Updated 5 years ago
- LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈☆119May 9, 2024Updated last year
- ☆29Aug 7, 2022Updated 3 years ago
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆50Jul 13, 2023Updated 2 years ago
- This is the code repository for 7FNCE025W High Frequency Trading.☆10Apr 12, 2023Updated 2 years ago
- Seeking Alpha, Machine Learning, ETFs Strategy☆19Nov 2, 2022Updated 3 years ago
- High Frequency Trading Strategy☆12Dec 20, 2018Updated 7 years ago
- Enhance the gplearn package to support precise three-dimensional structured dimension genetic programming (GP), with a particular focus …☆36Aug 26, 2024Updated last year
- 升级后的gplearn， 支持包含时序和截面参数的自定义函数，例如均线☆67Feb 8, 2024Updated 2 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting with the flexibility to host WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Cloudways by DigitalOcean.
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆60Apr 6, 2023Updated 2 years ago
- ☆15Apr 6, 2022Updated 3 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆68Aug 8, 2017Updated 8 years ago
- [Likelihood Lab Project 2024] Official Repository for The Technical Report, Label Unbalance in High-frequency Trading☆30Mar 20, 2025Updated last year
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Mar 20, 2023Updated 3 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆23Jul 29, 2018Updated 7 years ago
- ☆12Jul 19, 2020Updated 5 years ago
- High Frequency Market Making: Optimal Quoting☆16Mar 20, 2023Updated 3 years ago
- Algorithmic and high-frequency trading book☆20Aug 5, 2020Updated 5 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12May 30, 2021Updated 4 years ago
- Intraday trading strategy for futures calendar spreads. Uses crude oil futures and 1-minute bid/ask bars from Interactive Brokers with a …☆15Apr 23, 2024Updated last year
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Dec 8, 2022Updated 3 years ago
- ☆151Updated this week
- select stock automatically, trade manually☆12Jul 26, 2020Updated 5 years ago
- 众人的因子回测框架 stock factor test☆30Mar 24, 2026Updated last week